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Statistical Foundations of Econometric Modelling de Aris Spanos

Statistical Foundations of Econometric Modelling

Autor Aris Spanos Cuvânt înainte de David Hendry
en Limba Engleză Paperback – 29 oct 1986
This textbook provides an introduction to econometrics through a grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. It encourages the mastering of fundamental concepts and theoretical perspectives which guide the formulation and solution of problems in econometric modelling. This makes it an ideal introduction to empirical econometric modelling and the more advanced econometric literature. It is recommended for use on courses giving students a thorough grounding in econometrics at undergraduate or graduate level.
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Specificații

ISBN-13: 9780521269124
ISBN-10: 0521269121
Pagini: 720
Ilustrații: 70 b/w illus. 12 tables 97 exercises
Dimensiuni: 154 x 231 x 43 mm
Greutate: 1.12 kg
Ediția:Reprint
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom

Cuprins

Foreword David Hendry; Preface; Acknowledgements; Part I. Introduction: 1. Econometric modelling, a preliminary view; 2. Descriptive study of data; Part II. Probability Theory: 3. Probability; 4. Random variables and probability distributions; 5. Random vectors and their distributions; 6. Functions of random variables; 7. The general notion of expectation; 8. Stochastic processes; 9. Limit theorems; 10. Introduction to asymptotic theory; Part III. Statistical Inferences: 11. The nature of statistical inference; 12. Estimation I - properties of estimators; 13. Estimation II - methods; 14. Hypothesis testing and confidence regions; 15. The multivariate normal distribution; 16. Asymptotic test procedures; Part IV. The Linear Regression and Related Statistical Models: 17. Statistical models in econometrics; 18. The Gauss linear model; 19. The linear regression model I - specification, estimation and testing; 20. the linear regression model II - departures from the assumptions underlying the statistical GM; 21. The linear regression model III- departures from the assumptions underlying the probability model; 22. The linear regression model IV - departures from the sampling model assumption; 23. The dynamic linear regression model; 24. The multivariate linear regression model; 25. The simultaneous equations model; 26. Epilogue: towards a methodology of econometric modelling; References; Index.

Descriere

This textbook provides an ideal introduction to econometrics through a grounding in probability theory and statistical inference.